Related papers: The Kelly Criterion And Utility Function Optimisat…
By making use of the greatest common divisor's ($gcd$) properties we can highlight some connections between playing billiard inside a unit square and the Fibonacci sequence as well as the Euclidean algorithm. In particular by defining two…
This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…
This paper proposes and studies a general form of dynamic $N$-player non-cooperative games called $\alpha$-potential games, where the change of a player's value function upon her unilateral deviation from her strategy is equal to the change…
The unit selection problem aims to identify a set of individuals who are most likely to exhibit a desired mode of behavior, for example, selecting individuals who would respond one way if encouraged and a different way if not encouraged.…
In [G. Kalai, A Fourier-theoretic Perspective on the Condorcet Paradox and Arrow's Theorem, Adv. in Appl. Math. 29(3) (2002), pp. 412--426], Kalai investigated the probability of a rational outcome for a generalized social welfare function…
When $K$ models are evaluated on the same validation set of size $n$, the selected winner's apparent performance is biased upward. Suppose $K$ models are evaluated on a shared sequence of i.i.d. observations $X_1,\dots, X_n$, where model…
For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasing stochastic process with finitely many jumps in a bounded…
We prove a game-theoretic version of Levy's zero-one law, and deduce several corollaries from it, including non-stochastic versions of Kolmogorov's zero-one law, the ergodicity of Bernoulli shifts, and a zero-one law for dependent trials.…
At the zero lower bound, the New Keynesian model predicts that output and inflation collapse to implausibly low levels, and that government spending and forward guidance have implausibly large effects. To resolve these anomalies, we…
Quantitative games are two-player zero-sum games played on directed weighted graphs. Total-payoff games (that can be seen as a refinement of the well-studied mean-payoff games) are the variant where the payoff of a play is computed as the…
Suppose a coin with unknown probability $p$ of heads can be flipped as often as desired. A Bernoulli factory for a function $f$ is an algorithm that uses flips of the coin together with auxiliary randomness to flip a single coin with…
We review some fundamental concepts of investment from a mathematical perspective, concentrating specifically on fractional-Kelly portfolios, which allocate a fraction of wealth to a growth-optimal portfolio while the remainder collects (or…
We investigate the most popular approaches to the problem of sports betting investment based on modern portfolio theory and the Kelly criterion. We define the problem setting, the formal investment strategies, and review their common…
The purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative finance, in order to assess the…
We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…
We develop a general framework for applying the Kelly criterion to stock markets. By supplying an arbitrary probability distribution modeling the future price movement of a set of stocks, the Kelly fraction for investing each stock can be…
Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of $n$ possibly dependent random variables. This criterion, the…
A large branch of explainable machine learning is grounded in cooperative game theory. However, research indicates that game-theoretic explanations may mislead or be hard to interpret. We argue that often there is a critical mismatch…
We examine normal-form games in which players may \emph{pre-commit} to outcome-contingent transfers before choosing their actions. In the one-shot version of this model, Jackson and Wilkie showed that side contracting can backfire: even a…